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作者：Korniotis, George M.; Kumar, Alok
作者单位：University of Miami
摘要：This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state-level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography-based trading strategies earn annualized risk-adjusted returns of 5%. This abnormal performance reflects time-varying systematic risks and local-trading induced mispricing. Consistent with the misprici...
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作者：Acharya, Viral V.; Almeida, Heitor; Campello, Murillo
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：Banks can create liquidity for firms by pooling their idiosyncratic risks. As a result, bank lines of credit to firms with greater aggregate risk should be costlier and such firms opt for cash in spite of the incurred liquidity premium. We find empirical support for this novel theoretical insight. Firms with higher beta have a higher ratio of cash to credit lines and face greater costs on their lines. In times of heightened aggregate volatility, banks exposed to undrawn credit lines become ris...
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作者：Perez-Gonzalez, Francisco; Yun, Hayong
作者单位：Stanford University; National Bureau of Economic Research; Michigan State University; Michigan State University's Broad College of Business
摘要：This paper shows that active risk management policies lead to an increase in firm value. To identify the effect of hedging and to overcome endogeneity concerns, we exploit the introduction of weather derivatives as an exogenous shock to firms' ability to hedge weather risks. This innovation disproportionately benefits weather-sensitive firms, irrespective of their future investment opportunities. Using this natural experiment and data from energy firms, we find that derivatives lead to higher ...
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作者：Seppi, Duane J.
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作者：Garcia, Diego
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions p...
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作者：Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong
作者单位：University System of Georgia; Georgia State University; University of Cologne; Columbia University
摘要：This paper studies the confidential holdings of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater inform...
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作者：Spiegel, Matthew; Tookes, Heather
作者单位：Yale University
摘要：We model the interactions between product market competition and investment valuation within a dynamic oligopoly. To our knowledge, the model is the first continuous-time corporate finance model in a multiple firm setting with heterogeneous products. The model is tractable and amenable to estimation. We use it to relate current industry characteristics with firm value and financial decisions. Unlike most corporate finance models, it produces predictions regarding parameter magnitudes as well t...
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作者：Wachter, Jessica A.
摘要：Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in excess of government bill rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some probability of a consumption realization far out in the left tail. The possibility of this poor outcome substantially increases the...
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作者：Conrad, Jennifer; Dittmar, Robert F.; Ghysels, Eric
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：We use option prices to estimate ex ante higher moments of the underlying individual securities risk-neutral returns distribution. We find that individual securities risk-neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross-section, and more ex ante negatively (positively) skewed returns yield subsequent higher (lower) returns. We analyze ...
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作者：Patton, Andrew J.; Ramadorai, Tarun
作者单位：Duke University; University of Oxford; University of Oxford
摘要：We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfoli...
